本研究在Jegadeesh & Titman (1993)動能策略基礎上，引入12個月形成期後對贏、輸組股票對數報酬之單尾t檢定，將顯著者歸為顯著贏家或輸家，否則歸類在非顯著組，我們以此二組分別建構「顯著動能」與「非顯著動能」，並比較12及60月持有報酬。樣本涵蓋1981 – 2024年49國，資料來自Datastream。實證結果顯示：顯著組短期報酬優於傳統動能且長期反轉減弱，非顯著組則表現不佳。橫斷面迴歸發現，個人主義(IDV)正向影響顯著組贏家短期報酬，長期取向(LTO)在長短期的非顯著組中皆有正向影響，高全球化程度則削弱動能報酬。採用更嚴格p值門檻雖可以提高短期報酬但加劇長期反轉。本研究提出之統計檢定動能機制，有助過濾雜訊、提升短期報酬並緩和長期反轉，同時揭示文化與全球化對動能策略的影響。;Based on Jegadeesh & Titman (1993)’s momentum strategy, this study introduces a one‐tailed t‐test on the log returns of winner and loser portfolios after a 12‐month formation period. Portfolios with significance are classified as “significant” winners or losers, while the rest are deemed “non‐significant”, we use these two groups to respectively construct “significant momentum” and “non-significant momentum”, and 12‐ and 60‐month holding returns are compared. The sample covers 49 countries from 1981 to 2024, using data sourced from Datastream. Empirical results show that the significant group outperforms traditional momentum in the short term and exhibits attenuated long‐term reversal, whereas the non‐significant group underperforms. Cross‐sectional regressions reveal that individualism (IDV) has a positive effect on short‐term returns of significant winners; long‐term orientation (LTO) positively influences non‐significant groups in both short and long horizons; and higher globalization weakens momentum returns. Adopting a stricter p‐value threshold enhances short-term return but intensifies long‐term reversal. The statistical‐test‐based momentum mechanism proposed here helps filter noise, boost short‐term returns, and dampen long‐term reversal, while also uncovering how culture and globalization affect momentum strategies.
